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Lag length selection and Granger causality

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  • Daniel L. Thornton
  • Dallas S. Batten

Abstract

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  • Daniel L. Thornton & Dallas S. Batten, 1984. "Lag length selection and Granger causality," Working Papers 1984-001, Federal Reserve Bank of St. Louis.
  • Handle: RePEc:fip:fedlwp:1984-001
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    File URL: http://research.stlouisfed.org/wp/1984/1984-001.pdf
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    References listed on IDEAS

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    1. Geweke, John & Meese, Richard, 1981. "Estimating regression models of finite but unknown order," Journal of Econometrics, Elsevier, vol. 16(1), pages 162-162, May.
    2. Pagano, Marcello & Hartley, Michael J., 1981. "On fitting distributed lag models subject to polynomial restrictions," Journal of Econometrics, Elsevier, vol. 16(2), pages 171-198, June.
    3. Cooley, Thomas F. & Leroy, Stephen F., 1985. "Atheoretical macroeconometrics: A critique," Journal of Monetary Economics, Elsevier, vol. 16(3), pages 283-308, November.
    4. Dallas S. Batten & Daniel L. Thornton, 1983. "Polynomial distributed lags and the estimation of the St. Louis equation," Review, Federal Reserve Bank of St. Louis, issue Apr, pages 13-25.
    5. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
    6. Wallace, T D, 1972. "Weaker Criteria and Tests for Linear Restrictions in Regression," Econometrica, Econometric Society, vol. 40(4), pages 689-698, July.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Daniel L. Thornton, 2010. "Monetizing the debt," Economic Synopses, Federal Reserve Bank of St. Louis.
    2. Paul W. Bauer, 1990. "A reexamination of the relationship between capacity utilization and inflation," Economic Review, Federal Reserve Bank of Cleveland, issue Q III, pages 2-12.
    3. Driouchi, Ahmed & Boboc, Cristina & Zouag, Nada, 2009. "Interdependencies of Health, Education and Poverty: The Case of South Mediterranean Economies/Interdependencias de salud, educación y pobreza: el caso de las Economías Sur-Mediterráneas," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 27, pages 523-544, Agosto.

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